Pointwise difference between the exact density of the sum of two independent Gumbel random variables and the densities obtained through our near-exact approximation (gray lines), as well as the difference between the exact density and the approximation in Cetinkaya et al (2001) (black line)
‡Marques, Coelho, and de Carvalho (2015, Stat Comput)

†My research has been supported by grants from:
Banco de Portugal (Portuguese Central Bank),
Center for Mathematics and Applications—Universidade Nova de Lisboa,
Fondecyt (Chilean NSF), Fonds National Suisse de la Recherche
Scientifique (Swiss NSF), and Fundação para a Ciência e a Tecnologia
(Portuguese NSF); the order is alphabetical.